Isabelle G. Bajeux-Besnainou
Doctorate, Mathematics Applied to Finance, Université Paris-Dauphine, France, 1989
M.Sc., Université Paris-Dauphine, France, 1986
Alumna, École Normale Supérieure de Paris, Mathematics
Dr. Isabelle Bajeux-Besnainou has served as Dean of the Desautels Faculty of Management at McGill since September 2015. Under her leadership, a strategic plan was established to define future initiatives, which promotes four pillars: Research Excellence; Student-Centred; Community Impact; and Financial Sustainability.
Guided by these objectives, the Faculty has launched a Masters of Management in Finance, a Masters of Management in Analytics, a series of interdisciplinary minors in Entrepreneurship for undergraduate students, and program offerings in data analytics at several levels. Dean Bajeux-Besnainou has also managed the expansion of the MBA program through the acquisition and renovation of the new Donald E. Armstrong Building, which opened in January 2018. Moving forward, she will spearhead the creation the Bensadoun School of Retail Management, which will help make McGill a world centre for retail management education and research.
Prior to joining Desautels, Professor Bajeux-Besnainou was Associate Dean of Undergraduate Programs at the George Washington University School of Business for three years after serving as the Chair of the Finance Department. During this time, she developed a new Bachelor of Science degree program and reformed the Bachelor of Business Administration. As a firm believer in the value of interdisciplinary studies, she designed these two programs to mandate respectively the selection of a double major and a minor outside of the Business School. She also revised the First Year Development program to foreground integrity, ethics, civility, and social entrepreneurship.
Dean Bajeux-Besnainou is an alumna of the École Normale Supérieure (ENS) Paris in Mathematics and earned a doctorate in Mathematics Applied to Finance in 1989 from Université Paris-Dauphine. She has taught extensively at various universities and her research interests relate to asset pricing, portfolio management, and credit risk, among other topics. Her work has been published in academic journals such as Management Science, Mathematical Finance, Journal of Economic Dynamics and Control, American Economic Review, and Journal of Business.
Professor Bajeux-Besnainou serves on the boards of the Chamber of Commerce of Metropolitan Montreal, the Canadian Federation of Business School Deans, AZtherapies (Boston, U.S.A.), the McGill Centre for the Convergence of Health and Economics, and Finance Montréal.
George Washington University
Université de Montréal
Papers in Peer-Reviewed Journals
Bajeux-Besnainou I., R. Portait and G. Tergny (2013), “Optimal Portfolio Allocations with Tracking Error Volatility and Stochastic Hedging Constraints”, Quantitative Finance, Vol. 13, number 10, 1599-1612.
Bajeux-Besnainou I., W. Bandara and E. Bura (2012), “A Krylov Subspace Approach to Large Portfolio Optimization”, Journal of Economics, Dynamics and Control, November, Vol. 36, 1688-1699.
Bajeux-Besnainou I., R. Belhaj, D. Maillard and R. Portait (2011), “Portfolio Optimization under Tracking Error and Weights Constraints”, Journal of Financial Research, Vol. 34, 295-330.
Bajeux-Besnainou I., S. Joshi and N. Vonortas. (2010), “Uncertainty, Networks and Real Options”, Journal of Economic Behavior and Organization, 75, 523-541.
Bajeux-Besnainou, I. and K. Ogunc (2006), “Asset Allocation for Endowment Funds: The Case of HARA Utility Function with Subsistence Levels”, Review of Quantitative Finance and Accounting, 27, 93-107.
Bajeux-Besnainou, I. and Yang, J. (2006), “Is the Chinese Currency Undervalued?", International Research Journal of Finance and Economics, 2, 107-130.
Bajeux-Besnainou I. and K. Ogunc (2003), “Categorical Thinking in Stock Portfolio Management”, Journal of Behavioral Finance, Vol.4, No. 3, 118-120.
Bajeux-Besnainou I., J. Jordan and R. Portait (2003), “Dynamic Asset Allocation for Stocks, Bonds and Cash”, Journal of Business, Vol. 76, no 2.
Bajeux-Besnainou I. and R. Portait (2002), “Pricing Contingent Claims in Incomplete Markets Using the Numeraire Portfolio”, International Journal of Finance, Vol. 13, number 3, 2291-2310.
Bajeux-Besnainou I. and J. Jordan (2001), December, Finance, “Mean-Variance Asset Allocation for Long Horizons.”
Bajeux-Besnainou I., J. Jordan and R. Portait (2001), September, American Economic Review, “The Stock/Bond ratio asset allocation puzzle: comment”, 91, September, 1170:79.
Bajeux-Besnainou I. and R. Portait (1999), “New Portfolio Optimization Models in Strategic Asset Allocation” (L’allocation strategique d’actifs: l’apport de nouveaux modeles d’optimisation de portefeuilles), Banques et Marches.
Bajeux I. and R. Portait (1998), “Pricing Derivative Securities with a Multi-Factor Gaussian Model”, Applied Mathematical Finance, 5, 1-19.
Bajeux-Besnainou I. and R. Portait (1998), “Dynamic Asset Allocation in a Mean-Variance Framework”, Management Science, November, 44 (11), 79-95.
Bajeux-Besnainou I. and R. Portait (1997), “The Numeraire Portfolio: a new Methodology for Financial Theory”, The European Journal of Finance, December.
Bajeux I. and J.C. Rochet (1996), “Dynamic Spanning: are Options an Appropriate Instrument?”, Mathematical Finance – January.
Bajeux-Besnainou I. and R. Portait (1992), “Valuation Probabilistic Methods and State Variable Models” (Methodes Probabilistes d’Evaluation et Modeles a Variables d’Etats: une synthese), Finance, 23-56.
Bajeux-Besnainou I. (1991), “Portfolio Selection Model in a Binomial Model in Infinite Horizon” (Gestion de Portefeuille dans un Modele Binomial en Horizon Infini), Finance, 53-78.
Bajeux I. (1989), “Portfolio Selection Model in a Binomial Model” (Gestion de Portefeuille dans un Modele Binomial), Annales d’Economie et de Statitique, 49-76.
Bajeux I. and J.C. Rochet (1989), “Insider Trading: a Surplus Analysis” (Delits d’Inities: une Analyse de Surplus), Finance, 7-19.
Chapters in Books
Bajeux-Besnainou I. and R. Portait (2002), “Separation Theorems: Static or Dynamic?” chapter in Economica.
Bajeux-Besnainou I. and R. Portait (2002), New Directions in Mathematical Finance edited by Paul Wilmott and Henrik Rasmussen, Wiley Publications, “Dynamic, Deterministic and Static Portfolio Strategies in a Mean-Variance Framework under Stochastic Interest Rates.”
- We’ve had to prepare for jobs that don’t exist yet before, Fast Company (July 12, 2018)
- Meet Canada’s trailblazing female business school deans, Financial Times (June 17, 2018)
- S'attaquer aux préjugés à l'université, La Presse (April 5, 2018)
- Accélérer la naissance d'entreprises, Radio-Canada (March 16, 2018)
- 8e place mondiale pour le Centre Dobson de l’Université McGill en incubation d’entreprises, Radio Canada International (March 8, 2018)
- Boundary blurs between campus and online MBAs, Financial Times (March 5, 2018)
- Notre société bouleversée et le rôle primordial des écoles de commerce, Huffington Post (January 31, 2018)
- What Female Deans Want MBA Women In The Class of 2017 To Know, Poets & Quants (June 7, 2017)
- Opinion: McGill can help retail sector thrive amid change, Montreal Gazette (June 4, 2017)
- Dean’s Q&A: Isabelle Bajeux-Besnainou Of McGill’s Desautels School, Poets & Quants (May 23, 2017)
- Le cadeau de 25 millions d’Aldo, La Presse (May 13, 2017)
- Aldo shoe empire founder donates $25-million to McGill, The Globe and Mail (May 12, 2017)
- Le fondateur d'Aldo donne 25 millions à McGill, La Presse (May 12, 2017)
- Le bon plan de la Desautels Faculty of Management, au Québec, Le Monde (November 21, 2016)
- New Desautels Dean: Gender Is Irrelevant, Poets & Quants (October 4, 2016)
- School diversity is an asset, Financial Times (January 22, 2016)
- Une Française devient la première doyenne de la faculté de gestion de l’Université McGill, Le Figaro (July 16, 2015)
- First female dean appointed at McGill University’s Desautels Faculty of Management, EducationDIVE (July 17, 2015)
- McGill Desautels Appoints New Permanent Dean: MBA News, QS TopMBA (May 5, 2015)